4.The S&P 500 is currently priced at $2900. It has a dividend yield of 1.80% (on a continuously compounded basis). The risk free rate is 1.50% (on a CC basis). Where should S&P 500 futures be trading 9 months out?
5.What is a “conversion factor”?
6.The December 10-year US Treasury note is currently priced at $127. The following bonds are eligible for delivery into the contract with the following conversion factors. Please calculate the delivery prices for each bond ignoring accrued interest:
a. 2% of 11/26 CF=.75 _______________________
b. 2.25% of 2/27 CF=.76 _______________________
c .2.375% of 5/27 CF=.77 _______________________
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4.The S&P 500 is currently priced at $2900. It has a dividend yield of 1.80% (on...
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